Question: Problem 3. The purpose of this problem is to practice the use of Ito formula. We consider the three processes X = tW and Yt

Problem 3. The purpose of this problem is to practice the use of Ito formula. We consider the three processes X = tW and Yt = - W2 dW, and Zt = WA - 6tW2 + 3t2. (a) Using Ito lemma, write X, as a sum of integrals. (b) Find an expression for Y which doesn't involve Ito integrals. (c) Prove that (Z+) is a martingale. (d) Find Var(Z.)

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